A-Share Stock Screening with Amplitude, Control, and Auction Turnover

Summary

This post proposes a Chinese stock screen combining daily price amplitude, a measure of controlling-shareholder activity, and the previous session’s auction turnover ratio. It presents the criteria as a way to find stocks with notable price movement and trading activity, and includes illustrative formulas and Python-style pseudocode for applying the filters. The post also suggests expanding the screen with market heat, fund flows, valuation and profitability measures, and technical indicators such as KDJ or RSI.

The author flags the possibility of buying after prices have already risen and notes that the rules omit company fundamentals. The text provides no backtest, return series, benchmark, or evidence that the thresholds predict future performance. Its descriptions of the data fields and example implementations may not be consistent across platforms, so an implementer would need to verify their definitions, units, timing, and availability to avoid look-ahead or scaling errors.

Key ideas

• The screen combines price amplitude, controlling-shareholder activity, and prior-session auction turnover.
• The post provides example implementations of the filters in indicator formulas and Python-style logic.
• It suggests adding market-flow, valuation, profitability, and other technical measures for a broader selection process.
• The screen may expose users to chasing prices and does not account for company fundamentals in its initial form.
• No backtest or performance evidence is supplied, and the screening fields require platform-specific verification.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.